Structuring, sales and client care

Trade capture

Accurately record the terms and conditions of candidate transactions in graphical input screens laid out like term sheets. Users do not need to learn a script language: the most complex input is a formula. Interactive schedules and calculated fields accelerate manual data entry. Users may also choose to import product data from a Microsoft Excel file.

Structuring

Quantify precisely the risks and rewards of both new and existing products with a collection of analytics:

• Contract variations. Calculate the impact on price of changes in product parameters.
• Solver. Calculate the value of one or more product parameter(s) and/or market data item(s) to match a user-entered contract price.
• Market data sensitivity. Calculate the impact on price of instantaneous changes in market data.
• Monte Carlo simulation. Explore the details of a Monte Carlo pricing result.
• Greeks.
• Historical simulation. Quantify the performance of a product as if it had been acquired in the past.
• Forward-looking simulation. Analyse the behaviour and value of a product along future market scenarios.
• Historical value at risk.

Pricing

Use LexiFi's state-of-the-art pricing models or in-house models, and relevant market data to value tailored products. LexiFi provides proven implementations of both industry-standard and advanced pricing models that reflect market practice. Key pricing tool features include:

• Underlyings. Price equity, foreign exchange, commodity, interest rate, inflation, credit and hybrid derivatives.
• Market data. Access market data snapshots, historical time series and derived data such as yield curves and volatility surfaces from a central location to ensure consistent valuations and analyses across products and portfolios.
• Calibration. Transform observable market data into relevant model inputs with robust calibration algorithms.
• Multiple curves. Price with multiple yield curves to reflect the different credit and liquidity risk of Libor rates with different tenors and the overnight discounting of cash flows originated by derivative transactions subject to collateral agreements.
• Issuer credit spreads. Discount cash flows with risky curves that reflect the credit risk of issuers.
• Commercial margin. Include a commercial margin, amortised over time, in calculated prices.
• Market data adjustments. Selectively adjust salient market data items to replicate counterparty prices.

LexiFi provides direct access to the financial engineers who are implementing pricing models.

If required, users may also leverage LexiFi's open pricing framework to interface LexiFi Apropos with in-house and third-party valuation libraries.

Term sheets

Create indicative and definitive term sheets in the format and language of your choice. LexiFi Apropos simplifies the design and automates the production of high-quality, dynamic documents with the following features:

• Automatic generation. Documents may be generated either through a batch processing job-e.g., defined and scheduled within LexiFi Apropos or using a web service API-or interactively.
• Dynamic and up-to-date documents. Documents evolve through time to reflect the impact of life cycle events, including equity corporate actions.
• Safe documents. When data due to appear in a document is missing, the system reports an informative alert but can still generate the target document.
• Highly customizable. Users have full control over the information that appears in a document as well as the document's layout and visual aspects.
• Rich content. In addition to static and dynamic text, numbers, and other basic data, documents may contain images, charts and complex data grids.
• Printing and/or web quality. From the same template, users may generate documents in HTML format, for quick preview or direct display on a web site, or in high-quality paginated PDF format.
• Template reuse. Static and dynamic document fragments, such as legal disclaimers, may be shared among templates. These fragments may be stored in a central location, or attached to specific objects such as a type of instrument, an underlying or a counterparty.

Users may store term sheets produced in-house and by third-parties, and attach relevant attributes-e.g., name, type of document, language, indicative/definitive status, review state, creation date-for later retrieval.

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Client workflows

Interact with clients to communicate proposals, request for quotes, quotes and orders using a secure, uninterrupted process adapted to your needs. Learn more...

Internal workflows

Implement custom internal workflows to automate price requests, export product data to in-house trading and processing systems, upload product data to the bank's web site, and import life cycle events from trading systems.

Alerts and notifications

Receive alerts and send notification messages to clients upon the occurrence of life cycle events or when certain product or portfolio metrics are exceeded.

Performance reporting

Measure the realised performance of existing products, provide qualitative and quantitative explanations, and analyse the potential performance of products in their current state with the following tools:

• Performance measurement. Visualise the price history of products and underlyings, and calculate their respective performance over user-defined periods.
• Qualitative performance explanation. LexiFi Apropos detects and processes life cycle events and adapts product definitions in response to such events. As a result, the system is able to precisely describe the economics of a product in each state, from inception to maturity, and to document the consequences of salient events. For example, in a Himalaya contract, the system records, on each observation date, the name of the best performing underlying and its performance.
• Quantitative performance explanation. LexiFi Apropos also quantifies the contribution of key factors—i.e., the occurrence of contract events, the passage of time and changes in market data—to the change in value of a contract between two dates. When applicable, the analysis further breaks down the value of the contract into that of a theoretical zero coupon bond and that of an option.
  
  
  

  Value change analysis

  Quantify the contribution of key factors to the change in value of a contract between two dates.

  Click image to enlarge.
• Potential performance. Define and apply future scenarios for underlyings, and measure their impact on the potential performance of the product.

Realised and potential performance metrics are presented both in interactive screens and in high-quality performance reports that also list life cycle events and show their effect on contract parameters—e.g., restated levels and parities as a result of a corporate action managed with the ratio method; modified underlying following the application of the package method.

Client positions

Enter client trades interactively or import them to monitor client positions and provide sound secondary market advice.